Operationalising the Countercyclical Capital Buffer: Indicator Selection, Threshold Identification and Calibration Options

A New Database for Financial Crises in European Countries

“…The dataset covers crises from 1970 until 2016, and offers a relatively rich set of information with a particular focus on the delimitation of events and event descriptions, compared to existing crises datasets, e.g. Detken et al (2014), Babecký et al (2012) and Laeven and Valencia (2013).…”

“…First, the dataset is a key instrument for the identification of leading crisis indicators, the estimation of early warning models and related signalling thresholds (Alessi and Detken, 2011;Berg and Pattillo, 2000;Berg et al 2004;Fratzscher, 2006 andDetken et al, 2014;Edison, 2003;Frankel and Rose, 1996;Kaminsky and Reinhart, 1999;Lo Duca and Peltonen, 2013). The credibility of analytical approaches to predict crises strongly relies on the ex-ante identification and definition of past crises events.…”

“…First, the new dataset focuses on the delimitation of events, including identifying start and end dates for events. The proposed approach for identifying crises bridges the gap between "qualitative" Valencia, 2008 and2013;Babecký et al, 2012;Rogoff, 2008 andDetken et al, 2014) and "quantitative" (Frankel and Rose, 1996;Lo Duca and Peltonen, 2013) methods to delimit crises. It does so by combining a mechanic approach to identifying relevant events with qualitative information provided by NAs on the basis of common definitions and criteria to decide on whether the events detected can be considered as systemic crises.…”

“…As part of this process, additional information on events, including details about crisis policies, was collected from NAs. This makes this dataset more complete than the databases by Detken et al (2014) and Babecký et al (2012) in terms of the richness of the qualitative information on the events. Second, the dataset presents a distinction between crisis and post-crisis adjustment periods.…”

“…In addition, information on the events, including on crisis policies, was collected from NAs. This makes this dataset more complete than those produced by Babecký et al (2012) and Detken et al (2014) in terms of the richness of the qualitative information on the events.…”